Multifractal Analysis of the Time Series of Economic Systems

Author(s) A.I. Olemskoi1,2 , V.N. Borisyuk1, I.А. Shuda1 , А.А. Bagdasaryan1
Affiliation(s)

1 Sumy State University, 2, Rimsky-Korsakov Str., 40007, Sumy, Ukraine

2 Institute of Applied Physics of NAS of Ukraine, 58, Petropavlovskaya Str., 40030, Sumy, Ukraine

Е-mail alex@ufn.ru
Issue Volume 1, Year 2009, Number 3
Dates Received 27.11.2009 in final form 15.12.2009
Citation A.I. Olemskoi, V.N. Borisyuk, I.А. Shuda, А.А. Bagdasaryan, J. Nano- Electron. Phys. 1 No3, 52 (2009)
DOI
PACS Number(s) 05.45.Df, 05.45.Tp
Key words Time series, Method of the multifractal detrended fluctuation analysis, Multifractal spectrum.
Abstract
Within the method of the multifractal detrended fluctuation analysis the time series of the currency exchange rate for a period including the world financial crisis is investigated. By the example of the growing demand for currency purchase during the crisis, the connection between time correlations in the distribution of the series terms and external factors is found. Crisis influence on the statistical characteristics of the time series is studied.

References